1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Theses
  5. Item

學術產出-Theses

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

  • No doi shows Citation Infomation
題名 初步公開說明書Form S-11資訊對REIT IPO之初期及後續表現的影響
Can REIT IPO investors know ahead of time? An empirical study of Form S-11 information on post-IPO performance of REITs
作者 潘慶儀
Pun, Heng I
貢獻者 陳明吉
Chen, Ming Chi
潘慶儀
Pun, Heng I
關鍵詞 初次公開發行
房地產投資信託基金
IPO折價
長期表現
管理團隊品質
承銷商聲譽
管理結構
閉鎖期
IPO
REIT
Underpricing
Long-run performance
Management quality
Underwriter reputation
Management structure
Lock-up period
日期 2018
上傳時間 2-Feb-2018 10:54:31 (UTC+8)
摘要 利用1995-2015年間美國房地產投資信託基金（REIT）的176個初次公開發行為樣本，本研究分析了初步公開說明書（Form S-11）資訊與REITs上市後之當天，短期和長期表現之間的關係。其中，本文著重於探討四個特別領域的相關資訊，包括管理結構，承銷商聲譽，IPO閉鎖期及管理團隊品質。
實證結果顯示，初步公開說明書（Form S-11）包含有價值的資訊，有助於REIT IPO 投資人作投資評估之使用。其中，IPO閉鎖期大於等於產業標準180天的REITs，其在上市後6個月和12個月期間的報酬率高於IPO閉鎖期小於180天的REITs。此外，與過去的IPO研究結果相似，由知名承銷商所銷售之REIT IPOs 在初次公開發行後的短期及長期表現平均優於由知名度較低之承銷商所銷售的REIT IPOs。
然而，儘管過去與REIT相關的研究普遍偏好內部管理，本研究之實證結果支持外部管理的模式。其中，實證結果顯示外部管理的REITs在初次公開發行後的短期及長期表現平均優於內部管理的REITs。
Using a sample of 176 US REIT IPOs from 1995 to 2015, this study examines the relationship between information provided on the preliminary IPO prospectus (form S-11) and post-IPO initial, short-term and long-term performance of REITs. In particular, this paper focuses on information related to four specific areas: management structure, underwriter reputation, lock-up period, and management quality.
The findings of this study suggest that form S-11 carries valuable information, and is useful to investors in evaluating REIT IPOs. The regression results indicate that REIT IPOs with a lock-up period that is at least as long as the industry standard, on average, earn higher post-IPO returns 6-month and 12-month following the IPO date. Moreover, consistent with prior IPO studies, offerings underwritten by prestigious underwriters, on average, yield better post-IPO performance than IPOs underwritten by less reputable underwriters. Yet, unlike prior REIT studies, the findings of this paper tend to favor the external management structure. The results from the sub-sample imply externally managed REITs, on average, earn higher post-IPO short-term and long-term returns than their internally managed counterpart.
參考文獻 Ahmad, W., & Jelic, R. (2014). Lockup Agreements and Survival of UK IPOs. Journal of Business Finance & Accounting, 41(5), 717-742.
Ambrose, B., & Linneman, P. (2001). REIT Organizational Structure and Operating Characteristics. Journal of Real Estate Research, 21(3), 141-162.
Bairagi, R. K., & Dimovski, W. (2011). The Underpricing of US REIT IPOs: 1996-2010. Journal of Property Research, 28(3), 233-248.
Bantel, K. A., & Jackson, S. E. (1989). Top Management and Innovations in Banking: Does the Composition of the Top Team Make a Difference? Strategic Management Journal, 10, 107-124.
Beatty, R. P., & Ritter, J. R. (1986). Investment Banking, Reputation, and The Underpricing of Initial Public Offerings. Journal of Financial Economics, 15, 213-232.
Beatty, R. P., & Welch, I. (1996). Issuer Expenses and Legal Liability in Initial Public Offerings. Journal of Law & Economics, 39(2), 545-602.
Bradley, D. J., Jordan, B. D., Yi, H., & Roten, I. C. (2001). Venture Capital and IPO Lockup Expiration: An Empirical Analysis. Journal of Financial Research, 24(4), 465-493.
Brau, J. C., Lambson, V. E., & McQueen, G. (2005). Lockups Revisited. Journal of Financial and Quantitative Analysis, 40(3), 519-530.
Capozza, D. R. & Seguin, P. J. (2000). Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle. Journal of Real Estate Finance and Economics, 20(2), 91-116.
Carter, R. B., Dark, F. H., & Singh A. K. (1998). Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks. Journal of Finance, 53(1), 285-311.
Carter, R., & Manaster, S. (1990). Initial Public Offerings and Underwriter Reputation. Journal of Finance, 45(4), 1045-1067.
Chemmanur, T. J., & Paeglis, I. (2005). Management Quality, Certification, and Initial Public Offerings. Journal of Financial Economics, 76, 331-368.
Chen, H., Fok, R., & Lu, C. (2011). An Analysis of Lockups in REIT IPOs. Journal of Real Estate Finance and Economics, 43(3), 359-384.
Cohen, B. D., & Dean, T. J. (2005). Information Asymmetry and Investor valuation of IPOs: Top Management Team Legitimacy as a Capital Market Signal. Strategic Management Journal. 26, 683-390.
Chua, A. (2014). Market Conditions, Underwriter Reputation and First Day Return of IPOs. Journal of Financial Markets, 19, 131-153.
Dimovski, B., Ratcliffe, C., & Keneley, M. (2017). Another Piece of the Puzzle: REIT IPO underpricing After the Financial Crisis. Journal of Property Investment & Finance, 35(3), 264-276.
Dolvin, S. D., & Pyles, M. K. (2009). REIT IPOs and the Cost of Going Public. Journal of Real Estate Finance and Economics, 39(1), 92-106.
Ernst & Young. (2017). Internal vs. External Management Structures. Retrieved from http://www.ey.com/Publication/vwLUAssets/ey-internal-vs-external-management-structures/$FILE/ey-internal-vs-external-management-structures.pdf.
Joel-Carbonell, A., & Rottke, N. B. (2009). Efficient Markets Versus Behavioral Anomalies: The Case of REITs. Journal of Property Investment & Finance, 27(4), 413-424.
Kuhle, J. L. (1992). The Long-Term Performance of Real Estate Investment Trusts. Real Estate Finance, 9(2), 25.
Laopodis, N. (2009). REITs, the Stock Market and Economic Activity. Journal of Property Investment & Finance. 27(6), 563-578.
Loughran, T., & McDonald, B. (2013). IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language. Journal of Financial Economics, 109, 307-326.
Loughran, T., & Ritter, J. R. (2004). Why Has IPO Underpricing Changed Over Time? Financial Management, 5-37.
Loughran, T., & Ritter, J. R. (1995). The New Issues Puzzle. Journal of Finance, 50(1), 23-51.
National Association of Real Estate Investment Trusts. (2017). Guide to Equity REITs. Retrieved from https://www.reit.com/what-reit/types-reits/guide-equity-reits.
National Association of Real Estate Investment Trusts. (2017). REIT Industry Financial Snapshot. Retrieved from https://www.reit.com/data-research/reit-market-data/reit-industry-financial-snapshot.
National Association of Real Estate Investment Trusts. (2017). What’s a REIT? Retrieved from https://www.reit.com/what-reit.
Ritter, J. R. (1991). The Long-Run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.
Rock, K. (1986). Why New Issues Are Underpriced. Journal of Financial Economics, 15, 187-212.
U.S. Securities and Exchange Commission. (2010). Important Information About EDGAR. Retrieved from https://www.sec.gov/edgar/aboutedgar.htm.
描述 碩士
國立政治大學
財務管理研究所
105357033
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357033
資料類型 thesis
dc.contributor.advisor 陳明吉zh_TW
dc.contributor.advisor Chen, Ming Chien_US
dc.contributor.author (Authors) 潘慶儀zh_TW
dc.contributor.author (Authors) Pun, Heng Ien_US
dc.creator (作者) 潘慶儀zh_TW
dc.creator (作者) Pun, Heng Ien_US
dc.date (日期) 2018en_US
dc.date.accessioned 2-Feb-2018 10:54:31 (UTC+8)-
dc.date.available 2-Feb-2018 10:54:31 (UTC+8)-
dc.date.issued (上傳時間) 2-Feb-2018 10:54:31 (UTC+8)-
dc.identifier (Other Identifiers) G0105357033en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115726-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 105357033zh_TW
dc.description.abstract (摘要) 利用1995-2015年間美國房地產投資信託基金（REIT）的176個初次公開發行為樣本，本研究分析了初步公開說明書（Form S-11）資訊與REITs上市後之當天，短期和長期表現之間的關係。其中，本文著重於探討四個特別領域的相關資訊，包括管理結構，承銷商聲譽，IPO閉鎖期及管理團隊品質。
實證結果顯示，初步公開說明書（Form S-11）包含有價值的資訊，有助於REIT IPO 投資人作投資評估之使用。其中，IPO閉鎖期大於等於產業標準180天的REITs，其在上市後6個月和12個月期間的報酬率高於IPO閉鎖期小於180天的REITs。此外，與過去的IPO研究結果相似，由知名承銷商所銷售之REIT IPOs 在初次公開發行後的短期及長期表現平均優於由知名度較低之承銷商所銷售的REIT IPOs。
然而，儘管過去與REIT相關的研究普遍偏好內部管理，本研究之實證結果支持外部管理的模式。其中，實證結果顯示外部管理的REITs在初次公開發行後的短期及長期表現平均優於內部管理的REITs。		zh_TW
dc.description.abstract (摘要) Using a sample of 176 US REIT IPOs from 1995 to 2015, this study examines the relationship between information provided on the preliminary IPO prospectus (form S-11) and post-IPO initial, short-term and long-term performance of REITs. In particular, this paper focuses on information related to four specific areas: management structure, underwriter reputation, lock-up period, and management quality.
The findings of this study suggest that form S-11 carries valuable information, and is useful to investors in evaluating REIT IPOs. The regression results indicate that REIT IPOs with a lock-up period that is at least as long as the industry standard, on average, earn higher post-IPO returns 6-month and 12-month following the IPO date. Moreover, consistent with prior IPO studies, offerings underwritten by prestigious underwriters, on average, yield better post-IPO performance than IPOs underwritten by less reputable underwriters. Yet, unlike prior REIT studies, the findings of this paper tend to favor the external management structure. The results from the sub-sample imply externally managed REITs, on average, earn higher post-IPO short-term and long-term returns than their internally managed counterpart.		en_US
dc.description.tableofcontents Abstract
摘要
Acknowledgements
Table of Contents
1. Introduction 1
2. Literature Reviews and Hypothesis Development 4
2.1 Literatures on Management Structure and IPO Returns 4
2.2 Literatures on Underwriter Reputation and IPO Returns 5
2.3 Literatures on Lock-up Period and IPO returns 6
2.4 Literatures on Management Quality and IPO returns 7
2.5 Hypothesis Development 8
3. Data and Methodology 11
3.1 Sample Construction and Data Sources 11
3.2 Regression Models 15
3.3 Definition of Variables 17
4. Empirical Results on Factors Influencing Post-IPO Performance 19
4.1 Summary Statistic 19
4.2 Regression Results of Initial Day Returns from 1995-2015 21
4.3 Regression Results of ST & LT Returns from 1995-2015 25
4.4 Regression Results of Initial Day Returns from 2002-2015 28
4.5 Regression Results of ST < Returns from 2002-2015 30
4.6 Regression Results of Initial Day Returns between Equity and Mortgage REITs 33
4.7 Regression Results of ST & LT Returns between Equity and Mortgage REITs 35
4.8 Summary of Hypothesis Testing Results 38
5. Conclusions, Implications and Recommendations 40
5.1 Conclusions 40
5.2 Implications 41
5.3 Recommendations 42
References 44
Appendices 48
Appendix A. Heteroscedasticity Test Results 48
Appendix B. Autocorrection Test Results 49
Appendix C. Multicollinearity Test Results Before and After Correction 50		zh_TW
dc.format.extent 1124511 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357033en_US
dc.subject (關鍵詞) 初次公開發行zh_TW
dc.subject (關鍵詞) 房地產投資信託基金zh_TW
dc.subject (關鍵詞) IPO折價zh_TW
dc.subject (關鍵詞) 長期表現zh_TW
dc.subject (關鍵詞) 管理團隊品質zh_TW
dc.subject (關鍵詞) 承銷商聲譽zh_TW
dc.subject (關鍵詞) 管理結構zh_TW
dc.subject (關鍵詞) 閉鎖期zh_TW
dc.subject (關鍵詞) IPOen_US
dc.subject (關鍵詞) REITen_US
dc.subject (關鍵詞) Underpricingen_US
dc.subject (關鍵詞) Long-run performanceen_US
dc.subject (關鍵詞) Management qualityen_US
dc.subject (關鍵詞) Underwriter reputationen_US
dc.subject (關鍵詞) Management structureen_US
dc.subject (關鍵詞) Lock-up perioden_US
dc.title (題名) 初步公開說明書Form S-11資訊對REIT IPO之初期及後續表現的影響zh_TW
dc.title (題名) Can REIT IPO investors know ahead of time? An empirical study of Form S-11 information on post-IPO performance of REITsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ahmad, W., & Jelic, R. (2014). Lockup Agreements and Survival of UK IPOs. Journal of Business Finance & Accounting, 41(5), 717-742.
Ambrose, B., & Linneman, P. (2001). REIT Organizational Structure and Operating Characteristics. Journal of Real Estate Research, 21(3), 141-162.
Bairagi, R. K., & Dimovski, W. (2011). The Underpricing of US REIT IPOs: 1996-2010. Journal of Property Research, 28(3), 233-248.
Bantel, K. A., & Jackson, S. E. (1989). Top Management and Innovations in Banking: Does the Composition of the Top Team Make a Difference? Strategic Management Journal, 10, 107-124.
Beatty, R. P., & Ritter, J. R. (1986). Investment Banking, Reputation, and The Underpricing of Initial Public Offerings. Journal of Financial Economics, 15, 213-232.
Beatty, R. P., & Welch, I. (1996). Issuer Expenses and Legal Liability in Initial Public Offerings. Journal of Law & Economics, 39(2), 545-602.
Bradley, D. J., Jordan, B. D., Yi, H., & Roten, I. C. (2001). Venture Capital and IPO Lockup Expiration: An Empirical Analysis. Journal of Financial Research, 24(4), 465-493.
Brau, J. C., Lambson, V. E., & McQueen, G. (2005). Lockups Revisited. Journal of Financial and Quantitative Analysis, 40(3), 519-530.
Capozza, D. R. & Seguin, P. J. (2000). Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle. Journal of Real Estate Finance and Economics, 20(2), 91-116.
Carter, R. B., Dark, F. H., & Singh A. K. (1998). Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks. Journal of Finance, 53(1), 285-311.
Carter, R., & Manaster, S. (1990). Initial Public Offerings and Underwriter Reputation. Journal of Finance, 45(4), 1045-1067.
Chemmanur, T. J., & Paeglis, I. (2005). Management Quality, Certification, and Initial Public Offerings. Journal of Financial Economics, 76, 331-368.
Chen, H., Fok, R., & Lu, C. (2011). An Analysis of Lockups in REIT IPOs. Journal of Real Estate Finance and Economics, 43(3), 359-384.
Cohen, B. D., & Dean, T. J. (2005). Information Asymmetry and Investor valuation of IPOs: Top Management Team Legitimacy as a Capital Market Signal. Strategic Management Journal. 26, 683-390.
Chua, A. (2014). Market Conditions, Underwriter Reputation and First Day Return of IPOs. Journal of Financial Markets, 19, 131-153.
Dimovski, B., Ratcliffe, C., & Keneley, M. (2017). Another Piece of the Puzzle: REIT IPO underpricing After the Financial Crisis. Journal of Property Investment & Finance, 35(3), 264-276.
Dolvin, S. D., & Pyles, M. K. (2009). REIT IPOs and the Cost of Going Public. Journal of Real Estate Finance and Economics, 39(1), 92-106.
Ernst & Young. (2017). Internal vs. External Management Structures. Retrieved from http://www.ey.com/Publication/vwLUAssets/ey-internal-vs-external-management-structures/$FILE/ey-internal-vs-external-management-structures.pdf.
Joel-Carbonell, A., & Rottke, N. B. (2009). Efficient Markets Versus Behavioral Anomalies: The Case of REITs. Journal of Property Investment & Finance, 27(4), 413-424.
Kuhle, J. L. (1992). The Long-Term Performance of Real Estate Investment Trusts. Real Estate Finance, 9(2), 25.
Laopodis, N. (2009). REITs, the Stock Market and Economic Activity. Journal of Property Investment & Finance. 27(6), 563-578.
Loughran, T., & McDonald, B. (2013). IPO First-Day Returns, Offer Price Revisions, Volatility, and Form S-1 Language. Journal of Financial Economics, 109, 307-326.
Loughran, T., & Ritter, J. R. (2004). Why Has IPO Underpricing Changed Over Time? Financial Management, 5-37.
Loughran, T., & Ritter, J. R. (1995). The New Issues Puzzle. Journal of Finance, 50(1), 23-51.
National Association of Real Estate Investment Trusts. (2017). Guide to Equity REITs. Retrieved from https://www.reit.com/what-reit/types-reits/guide-equity-reits.
National Association of Real Estate Investment Trusts. (2017). REIT Industry Financial Snapshot. Retrieved from https://www.reit.com/data-research/reit-market-data/reit-industry-financial-snapshot.
National Association of Real Estate Investment Trusts. (2017). What’s a REIT? Retrieved from https://www.reit.com/what-reit.
Ritter, J. R. (1991). The Long-Run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.
Rock, K. (1986). Why New Issues Are Underpriced. Journal of Financial Economics, 15, 187-212.
U.S. Securities and Exchange Commission. (2010). Important Information About EDGAR. Retrieved from https://www.sec.gov/edgar/aboutedgar.htm.		zh_TW